radf_crit

A dataset containing Monte Carlo critical values for up to 600 observations
generated using the default minimum window. The critical values have been
simulated and stored as data to save computation time for the user. The stored
critical values can be obtained with the <code>radf_mc_cv</code>
function, using nrep = <code>2000</code> and the <code>seed = 123</code>.

datasets

Testing for and dating periods of explosive
dynamics (exuberance) in time series using the univariate and panel
recursive unit root tests proposed by Phillips et al. (2015)
<doi:10.1111/iere.12132> and Pavlidis et al. (2016)
<doi:10.1007/s11146-015-9531-2>.The recursive least-squares
algorithm utilizes the matrix inversion lemma to avoid matrix
inversion which results in significant speed improvements. Simulation
of a variety of periodically-collapsing bubble processes. Details can be
found in Vasilopoulos et al. (2022) <doi:10.18637/jss.v103.i10>.

Kostas Vasilopoulos

exuber

Econometric Analysis of Explosive Time Series

Efthymios Pavlidis

Enrique Martínez-García

Simon Spavound

radf_crit function

A list with lower level lists that contain<dl>
<dt>adf_cv:</dt>
<dd>Augmented Dickey-Fuller</dd><dt>badf_cv:</dt>
<dd>Backward Augmented Dickey-Fuller</dd><dt>sadf_cv:</dt>
<dd>Supremum Augmented Dickey-Fuller</dd><dt>bsadf_cv:</dt>
<dd>Backward Supremum Augmented Dickey-Fuller</dd><dt>gsadf_cv:</dt>
<dd>Generalized Supremum Augmented Dickey Fuller</dd></dl>

Format

Stored Monte Carlo Critical Values — radf_crit

A list with lower level lists that contain<dl>
<dt>adf_cv:</dt>
<dd>Augmented Dickey-Fuller</dd>

<dt>badf_cv:</dt>
<dd>Backward Augmented Dickey-Fuller</dd>

<dt>sadf_cv:</dt>
<dd>Supremum Augmented Dickey-Fuller</dd>

<dt>bsadf_cv:</dt>
<dd>Backward Supremum Augmented Dickey-Fuller</dd>

<dt>gsadf_cv:</dt>
<dd>Generalized Supremum Augmented Dickey Fuller</dd>



</dl>

radf_crit: Stored Monte Carlo Critical Values

Description

Usage

Arguments

Format

Examples